Advances in portfolio optimisation techniques have given rise to studies that aim to identify changes in correlation structures between markets in times of economic turmoil. This phenomenon is known as contagion. This article aims at providing a new approach to distinguish between contagion and...

We propose a new model for transaction data that accounts jointly for the time duration between transactions and for the discreteness of the intraday stock price changes. Duration is assumed to follow a stochastic conditional duration model, while price discreteness is captured by an...

We propose a novel class of count time series models, the mixed Poisson integer-valued stochastic volatility models. The proposed specification, which can be considered as an integer-valued analogue of the discrete-time stochastic volatility model, encompasses a wide range of conditional...

In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/noparametric inference is the norm in several fields of applied econometric work....

Entire global economy has been adversely affected by the demand and supply shocks which have been created due to consequent waves of Covid-19 pandemic. Indian Economy was none the better amidst the second wave. Due to the demand and supply shocks at both national and international level, Indian...

The purpose of this paper is to investigate some statistical methods to estimate the value-at-Risk (VaR) for stock returns in the BRICS countries for the period between 2011 to 2018. Four different risk methods are used to estimate VaR: Historical Simulation (HS), Riskmetrics, Historical Method...

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge...

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge...